Tail Conditional Expectations for Generalized Skew — Elliptical Distributions

Abstract

Tail conditional expectation (TCE) has properties which are considered desirable and applicable in a variety of situations. (In particular, it satis…es requirements of a "coherent" risk measure in the spirit developed by Artzner et al. (1999)). Consequently, there has been growing interest among risk measures, actuaries, and investment experts in this risk measure. This paper derives formulae for computing the TCE for Generalized Skew Elliptical distributions, a family of non-symmetric distributions that includes, among many, the more familiar skew normal, skew student-t and skew laplace distributions.